The 24-year-old joined the Bundesliga club on loan in January after Pierre-Emerick Aubameyany's big money transfer to Arsenal started a chain reaction, which saw striker Olivier Giroud move across the Thames river to the 'Blues'.
However, speaking to Belgian football journalist Kristof Terreur, Watzke has revealed that Dortmund tried to sign the player permanently but were thrawted by the London club's head honcho.
He declared: "We tried our best to get a permanent option for Michy Batshuayi. But it was a no go for Chelsea. When Roman Abramovich says no, it is a no".
Despite the long-term uncertainty over his future, the striker has still adapted well to life in Germany, scoring three goals and providing one assist in his first two games.
Head coach Peter Stoger will be hoping his early form continues as Dortmund play Serie A team Atalanta in their first leg of the Europa League on Thursday as they look to progress to the Round of 16.